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https://github.com/BrentNeale1/fx-quant.git
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Brent NealeandClaude Opus 4.6
dce54845c2
- Built event-driven backtesting engine with spread/slippage modeling, 3-TP partial closes, trailing stops, and rich trade logging (20+ features) - Implemented 5 strategy signal generators (MA Breakout, VWAP Reversal, Key Level Breakout, EMA Ribbon Scalp, Momentum Exhaustion) - Full indicator library (EMA, SMA, RSI, ATR, MACD, ADX, Stochastic, Session VWAP bands, swing points, key levels, RSI divergence) - Data pipeline: Dukascopy download, validation, 70/30 train/test split - Baseline results: all 5 strategies generate 200+ trades on training data (Jan 2021 - Aug 2023), best profit factors 0.82-0.96 on select pairs - Trade logs and reports saved for Phase 3 ML feature engineering Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
46 lines
1.1 KiB
JSON
46 lines
1.1 KiB
JSON
{
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"pair": "GBP_USD",
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"strategy_id": 2,
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"strategy_name": "S2_Session_VWAP_Reversal",
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"total_trades": 370,
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"win_rate_pct": 23.24,
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"avg_rr": 2.61,
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"expectancy_pips": -1.97,
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"sharpe_ratio": -2.08,
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"max_drawdown_pct": -65.19,
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"profit_factor": 0.72,
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"total_pnl_pips": -728.43,
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"total_pnl_dollars": -44200.15,
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"avg_win_pips": 32.08,
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"avg_loss_pips": 12.28,
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"max_consecutive_wins": 5,
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"max_consecutive_losses": 26,
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"avg_hold_time_minutes": 207.9,
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"best_trade_pips": 106.39,
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"worst_trade_pips": -47.95,
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"best_trade_dollars": 3922.7,
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"worst_trade_dollars": -1000.0,
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"final_equity": 55799.85,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 215,
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"win_rate": 23.72093023255814,
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"total_pnl_pips": -690.7713524714953
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},
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"OVERLAP": {
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"trades": 155,
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"win_rate": 22.58064516129032,
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"total_pnl_pips": -37.66221703104436
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}
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},
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"exit_reasons": {
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"SL": 284,
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"TP1+TP2+SL": 38,
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"TP1+SL": 17,
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"TP3": 21,
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"TP1+TIME": 5,
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"TIME": 4,
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"TP1+TP2+TIME": 1
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}
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} |